Similar to your suggestion of tape, but probably easier and quicker is to use a lint roller like this:
A lint roller has a roll of masking tape on it, and is usually used to remove lint from clothes. But you could also use it to remove dust from lampshades. Just roll it on the lampshade and it will pick up the dust. Then after the tape loses its stickiness, just tear off that piece (they are pre-cut into squares on the roll) and it will be ready to pick up lint/dust again.